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YieldsLabs · Apr 24, 2024 · 5ff5fa6 · 5ff5fa6
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commit 5ff5fa6
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Showing 4 changed files with 8 additions and 3 deletions.
diff --git a/strategy/generator/stop_loss/dch.py b/strategy/generator/stop_loss/dch.py
@@ -9,3 +9,4 @@
 class DchStopLoss(StopLoss):
     type: StopLossType = StopLossType.Dch
     period: Parameter = StaticParameter(21.0)
+    factor: Parameter = StaticParameter(0.2)
diff --git a/ta_lib/strategies/stop_loss/src/dch.rs b/ta_lib/strategies/stop_loss/src/dch.rs
@@ -4,12 +4,14 @@ use volatility::dch;
 
 pub struct DchStopLoss {
     period: usize,
+    factor: f32,
 }
 
 impl DchStopLoss {
-    pub fn new(period: f32) -> Self {
+    pub fn new(period: f32, factor: f32) -> Self {
         Self {
             period: period as usize,
+            factor,
         }
     }
 }
@@ -21,7 +23,8 @@ impl StopLoss for DchStopLoss {
 
     fn find(&self, data: &OHLCVSeries) -> (Series<f32>, Series<f32>) {
         let (upper, _, lower) = dch(&data.high, &data.low, self.period);
+        let volatility = data.close.std(self.period).highest(self.period) * self.factor;
 
-        (lower, upper)
+        (lower - &volatility, upper + &volatility)
     }
 }
diff --git a/ta_lib/strategies/trend_follow/src/config/stoploss_config.rs b/ta_lib/strategies/trend_follow/src/config/stoploss_config.rs
@@ -10,5 +10,6 @@ pub enum StopLossConfig {
     },
     Dch {
         period: f32,
+        factor: f32,
     },
 }
diff --git a/ta_lib/strategies/trend_follow/src/mapper/stoploss_mapper.rs b/ta_lib/strategies/trend_follow/src/mapper/stoploss_mapper.rs
@@ -15,6 +15,6 @@ pub fn map_to_stoploss(config: StopLossConfig) -> Box<dyn StopLoss> {
             period,
             factor,
         )),
-        StopLossConfig::Dch { period } => Box::new(DchStopLoss::new(period)),
+        StopLossConfig::Dch { period, factor } => Box::new(DchStopLoss::new(period, factor)),
     }
 }